PROS: Pick your own hoops, spokes, drillings, hubs, good set of handbuilt wheels will last forever (if you're not flogging them)
CONS: A lot more expensive, time consuming, super time consuming if you've never trued before and plan on getting your wheels straight
I've built at least 8 sets of wheels and I'll be the first one to tell you to buy complete.
There's no resale for wheels unless it's a hed3 or an aerospoke or a damn h+son, so you can find a decent set for a good price.
I spent well over $300 on my 29er wheels, and they're nothing special. Factor in a $100 freewheel, and I have a set of wheels worth more than my frame, and it's money I'll never get back.